10-Year Yield Update

I have updated the graph of the 10-year yield to include all of February’s data. The average yield during February was 150 basis points below January’s average. I was surprised by that result since I really haven’t heard much commentary regarding the yield.

I have a table on the graph which shows the average over the past six months. February had the penultimate average of the six months with only October 2013 being lower. The yield is still within a fairly narrow range since June 24, 2013 of 2.55 and 3.03.

I added a new table today that shows the average over the past six years. The trend from 2009 to 2012 was straight down, but the trend from 2012 to 2014 has been straight up.

I have thought about constructing another view of this graph which shows wave analysis. It would be very complicated, but it is an interesting way to look at data. Here’s how to think of it:

  • the current period began June 24, 2013 and has lasted 173 days with a range of 2.55 and 3.03
  • a transition period occurred between May 2, 2013 and June 23, 2013 that lasted 36 days
  • the previous period began June 1, 2012 and lasted 229 days with a range of 1.47 and 2.06

You get the idea. Defined range periods have an indeterminate length. Transition periods are sharp movements between defined range periods and are typically short in duration. The current wave pattern seems to have begun during the fourth quarter of 2008. I will continue to look over this graph to see if there is more interesting patterns.

Note: After thinking about it some, I decided to give it a go. There hasn’t been that many changes in the data since 2008. I updated the graph to include some color depicting what period the data is in. Blue data indicate periods of stability. Red data indicate transition periods. Green data indicate wave-based transition periods. Wave-based transitions are typically slower and involve opposite directions movements of minor-period length. There are currently three green waves in the graph and you can see the saw-tooth pattern of the line.


Author: dmcnic

Educated as an economist, I now work as an Analytical Professional for a manufacturing firm. I have have a second job as a part-time lecturer at the University of Washington in Bothell. While all baseball interests me, the Mariners are my home town team. Married with one dog.

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